Bramson, Maury, 1951-, Burdzy, K. (Krzysztof) and Kendall, Wilfrid S.. (2013) Shy couplings, CAT(0) spaces, and the lion and man. Annals of Applied Probability, 41 (2). pp. 744-784. ISSN 1050-5164

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Abstract

Two random processes X and Y on a metric space are said to be ε-shy coupled if there is positive probability of them staying at least a positive distance ε apart from each other forever. Interest in the literature centres on nonexistence results subject to topological and geometric conditions; motivation arises from the desire to gain a better understanding of probabilistic coupling. Previous non-existence results for co-adapted shy coupling of reflected Brownian motion required convexity conditions; we remove these conditions by showing the non-existence of shy co-adapted couplings of reflecting Brownian motion in any bounded CAT(0) domain with boundary satisfying uniform exterior sphere and interior cone conditions, for example, simply-connected bounded planar domains with C2 boundary. The proof uses a Cameron-Martin-Girsanov argument, together with a continuity property of the Skorokhod transformation and properties of the intrinsic metric of the domain. To this end, a generalization of Gauss' Lemma is established that shows differentiability of the intrinsic distance function for closures of CAT(0) domains with boundaries satisfying uniform exterior sphere and interior cone conditions. By this means, the shy coupling question is converted into a Lion and Man pursuit-evasion problem.

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Brownian motion processes
Journal or Publication Title:	Annals of Applied Probability
Publisher:	Institute of Mathematical Statistics
ISSN:	1050-5164
Date:	March 2013
Volume:	41
Number:	2
Page Range:	pp. 744-784
Identification Number:	10.1214/11-AOP723
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	National Science Foundation (U.S.) (NSF), Poland. Ministerstwo Nauki i Szkolnictwa Wyższego [Ministry of Science and Higher Education] (MNiSW)
Grant number:	CCF-0729537 (NSF), DMS-0906743 (NSF), N N201 397137 (MNiSW)
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URI:	http://wrap.warwick.ac.uk/id/eprint/37521

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